{
  "generated": "2026-03-08T07:00:03.932595",
  "monday": "2026-03-02",
  "friday": "2026-03-06",
  "es_stats": null,
  "signal_health": {
    "date": "2026-03-05",
    "signals": [
      {
        "name": "VIXDecomp",
        "weight": 0.25,
        "ic_60d": 0.3178,
        "ic_trend": 0.1682,
        "hit_rate_60d": 0.45,
        "sharpe_60d": 2.59,
        "standalone_sharpe": 1.25,
        "status": "\ud83d\udfe1 CAUTION"
      },
      {
        "name": "DOW",
        "weight": 0.25,
        "ic_60d": 0.129,
        "ic_trend": 0.0152,
        "hit_rate_60d": 0.6,
        "sharpe_60d": 1.92,
        "standalone_sharpe": 0.72,
        "status": "\ud83d\udfe2 STRONG"
      },
      {
        "name": "CorrDiv",
        "weight": 0.0,
        "ic_60d": 0.1976,
        "ic_trend": 0.0568,
        "hit_rate_60d": 0.5333,
        "sharpe_60d": 1.68,
        "standalone_sharpe": 0.5,
        "status": "\ud83d\udfe2 STRONG"
      },
      {
        "name": "RORO",
        "weight": 0.0,
        "ic_60d": -0.0705,
        "ic_trend": 0.1143,
        "hit_rate_60d": 0.5,
        "sharpe_60d": 1.36,
        "standalone_sharpe": 0.9,
        "status": "\ud83d\udd34 WEAK"
      },
      {
        "name": "VIX_TS",
        "weight": 0.15,
        "ic_60d": 0.0777,
        "ic_trend": -0.0765,
        "hit_rate_60d": 0.5333,
        "sharpe_60d": 1.26,
        "standalone_sharpe": 0.25,
        "status": "\ud83d\udfe1 CAUTION"
      },
      {
        "name": "FOMC",
        "weight": 0.0,
        "ic_60d": 0.0969,
        "ic_trend": 0.0697,
        "hit_rate_60d": 0.5167,
        "sharpe_60d": 1.2,
        "standalone_sharpe": 0.61,
        "status": "\ud83d\udfe2 STRONG"
      },
      {
        "name": "OVN",
        "weight": 0.0,
        "ic_60d": 0.1595,
        "ic_trend": -0.0856,
        "hit_rate_60d": 0.5833,
        "sharpe_60d": 0.98,
        "standalone_sharpe": 5.22,
        "status": "\ud83d\udfe1 CAUTION"
      },
      {
        "name": "PC_OI",
        "weight": 0.05,
        "ic_60d": -0.0137,
        "ic_trend": 0.0283,
        "hit_rate_60d": 0.5167,
        "sharpe_60d": -0.29,
        "standalone_sharpe": 0.83,
        "status": "\u26aa NEUTRAL"
      },
      {
        "name": "VPOC",
        "weight": 0.0,
        "ic_60d": -0.0772,
        "ic_trend": 0.2702,
        "hit_rate_60d": 0.4833,
        "sharpe_60d": -0.55,
        "standalone_sharpe": -5.87,
        "status": "\ud83d\udd34 WEAK"
      },
      {
        "name": "DeltaDiv",
        "weight": 0.3,
        "ic_60d": 0.0321,
        "ic_trend": 0.0381,
        "hit_rate_60d": 0.5333,
        "sharpe_60d": -0.79,
        "standalone_sharpe": 1.19,
        "status": "\u26aa NEUTRAL"
      },
      {
        "name": "GapFade",
        "weight": 0.0,
        "ic_60d": -0.4243,
        "ic_trend": 0.0259,
        "hit_rate_60d": 0.3667,
        "sharpe_60d": -4.95,
        "standalone_sharpe": -4.98,
        "status": "\ud83d\udd34 WEAK"
      }
    ],
    "strongest": "VIXDecomp",
    "weakest": "GapFade"
  },
  "current_signals": {
    "score": 10.1,
    "regime": "LEAN BULLISH"
  },
  "trade_plan": {
    "date": "2026-03-06T15:57:51.860066-08:00",
    "composite_score": 10.1,
    "regime": "LEAN BULLISH",
    "confidence": 0.61,
    "signal_timestamp": "2026-03-06T15:57:51.664850-08:00",
    "thresholds": {
      "q20": -10,
      "q40": 5,
      "q60": 18,
      "q80": 32,
      "n_obs": 0,
      "source": "default (backtest-derived)"
    },
    "stance": "BASE",
    "contracts": 1,
    "reason": "Q3 \u2014 neutral, base position [VIX=25.4>25: 1\u21921ct]",
    "should_rebalance": false,
    "rebalance_reason": "0 days since last rebalance (<5, hold current)",
    "position_change": 0,
    "prior_contracts": 1,
    "es_price": 6794.75,
    "price_source": "daily CSV (2026-03-06 00:00:00)",
    "risk": {
      "stop_price": 6754.75,
      "stop_distance_pts": 40.0,
      "target_price": 6854.75,
      "target_distance_pts": 60.0,
      "max_risk_dollars": 2000,
      "entry_cost": 29.62,
      "risk_reward": 1.5,
      "margin_required": 15000
    },
    "signal_summary": {
      "bullish": [
        {
          "name": "Day-of-Week",
          "signal": 0.7,
          "weight": 0.25,
          "detail": "Monday bullish (OOS Sharpe 1.82, WR 69.4%)"
        },
        {
          "name": "VIX Term Structure",
          "signal": 0.7,
          "weight": 0.15,
          "detail": "VIX1D/VIX=0.9213, VRP pct=1.0"
        },
        {
          "name": "P/C OI Ratio",
          "signal": 0.49979999999999997,
          "weight": 0.05,
          "detail": "P/C 1.884 (P71, z=0.6)"
        }
      ],
      "bearish": [
        {
          "name": "VIX Decomposition",
          "signal": -0.5633,
          "weight": 0.25,
          "detail": "DC z=-1.06, TA z=+1.72 \u2192 BEARISH, sticky-dom [STICKY SPIKE]"
        },
        {
          "name": "Delta Divergence",
          "signal": -0.3218,
          "weight": 0.3,
          "detail": "\u0394P corr=0.794 (z=0.612), pctl=11"
        }
      ],
      "neutral": []
    },
    "capital": 100000,
    "max_pos": 2,
    "range_forecast": {
      "expected_range_pct": 1.776,
      "range_regime": "NORMAL",
      "opportunity_score": 0.5,
      "atm_concentration": 0.4814,
      "data_date": "2026-03-02"
    },
    "strategy": "Risk-Managed Composite (OOS Sharpe 0.89, PF 2.95, MaxDD -39%)",
    "rules": {
      "direction": "LONG ONLY \u2014 never short ES",
      "rebalance": "Every 5 trading days",
      "sizing": "Q1=flat, Q2-Q3=1ct, Q4=2ct, Q5=3ct (per $100K)",
      "vix_scaling": "VIX > 25 \u2192 reduce position by 2 contracts (min 1)",
      "circuit_breaker": "-15% DD \u2192 flat for 20 trading days",
      "instrument": "ES (E-mini S&P 500 futures)"
    }
  },
  "action_items": [
    "\u26a0\ufe0f Weak signals (RORO, VPOC, GapFade) \u2014 monitor closely, adaptive weights should auto-reduce exposure",
    "\u2705 Strong performers (DOW, CorrDiv, FOMC) \u2014 current weights appropriate",
    "\ud83d\udfe1 Watch list: VIXDecomp, VIX_TS, OVN \u2014 showing early signs of decay"
  ]
}